| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27416 |
| 来源ID | Working Paper 27416 |
| Treasury Inconvenience Yields during the COVID-19 Crisis | |
| Zhiguo He; Stefan Nagel; Zhaogang Song | |
| 发表日期 | 2020-06-22 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | In sharp contrast to most previous crisis episodes, the Treasury market experienced severe stress and illiquidity during the COVID-19 crisis, raising concerns that the safe-haven status of U.S. Treasuries may be eroding. We document large shifts in Treasury ownership and temporary accumulation of Treasury and reverse repo positions on dealer balance sheets during this period. We build a dynamic equilibrium asset pricing model in which dealers subject to regulatory balance sheet constraints intermediate demand/supply shocks from habitat agents and provide repo financing to levered investors. The model predicts that Treasury inconvenience yields, measured as the spread between Treasuries and overnight-index swap rates (OIS), as well as spreads between dealers’ reverse repo and repo rates, should be highly positive during the COVID-19 crisis, which are confirmed in the data. The same model framework, adapted to the institutional setting in 2007-2009, also helps explain the negative Treasury-OIS spread observed during the Great Recession. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Financial Institutions ; COVID-19 |
| URL | https://www.nber.org/papers/w27416 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/585089 |
| 推荐引用方式 GB/T 7714 | Zhiguo He,Stefan Nagel,Zhaogang Song. Treasury Inconvenience Yields during the COVID-19 Crisis. 2020. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w27416.pdf（928KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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